Giorgio Fagiolo (University of Verona, Italy and Sant'Anna School of Advanced Studies, Pisa, Italy) Mauro Napoletano (Polytechnic University of Marche, Ancona, Italy and Sant'Anna School of Advanced Studies, Pisa, Italy) Andrea Roventini () (University of Modena and Reggio Emilia, Italy and Sant'Anna School of Advanced Studies, Pisa, Italy)
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We investigate the statistical properties of output growth-rate distributions. Recent empirical contributions indicate that growth rates follow a Laplace distribution at different levels of aggregation, and, following this, we test whether output growth rates can be so approximated. We also ask whether our findings are robust to alternative means for detrending output series. Our analysis uses the Subbotin family of densities, which encompasses the Laplace and Gaussian distributions. We examine the distribution of output growth rates in the U. S. and in other developed countries. We find that the means used for detrending does affect the distribution of output growth rates. First-differenced growth rates follow a Laplace distribution, whereas the distributions of HP and bandpass-filtered growth rates have tails thinner than the Laplace
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Find related papers by JEL classification: C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles